本研究有兩項主要發現：(1)亞洲的開發中國家(如：馬來西亞、菲律賓)，其匯率走勢亦可使用泰勒法則基礎模型進行預測；(2)本文在設定模型時將預期通貨膨脹率納入考量，在模型中以延後1期之通貨膨脹率進行匯率預測，但實證結果發現其效果並不顯著。 This paper forecasts exchange rate using Taylor rule fundamentals model with time-varying parameters model estimated by Bayesian method. The data of this paper consists of monthly exchange rate from 1997M1 to 2016M12, on up to 10 countries relative to the U.S. dollar, respectively, forecasts in four forecasting horizons (1,3,6,12). This paper finds strong evidence of exchange rate predictability with Taylor rule fundamentals model for 6 out of 10 countries.
There are two findings in this study: (1) Asian developing countries (e.g., Malaysia and Philippines) whose exchange rate can also be predicted by using the Taylor rule fundamentals model; (2) In this paper, consider expected inflation rate is an important factor when the government makes monetary policy. Therefore, this paper replaces inflation rate with expected inflation rate. However, the empirical results found that the effect is not significant.
